n NISM Certifications
NSM General NISM
Medium

_______ measures the sensitivity of option value to the risk-free interest rate.

Practice question from NISM Series I - Mock Test 3 — bank. The correct answer is highlighted below with a full explanation.

Options

  1. A

    Theta

  2. B

    Delta

  3. C

    Vega

  4. Rho

    Correct answer

Why this is the answer

Rho indicates how much an option's value changes with a 1% change in interest rates.

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